A Direct Approach to a First-Passage Problem with Applications in Risk Theory

DOI10.1080/15326349.2011.593402zbMath1232.91350OpenAlexW2027190358MaRDI QIDQ3094228

Kristina P. Sendova, David Landriault

Publication date: 21 October 2011

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2011.593402

zbMATH Keywords

Laplace transformrisk managementfirst-passage timeruin problemdual ruin model

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Processes in random environments (60K37) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (7)

On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model ⋮ Duality in ruin problems for ordered risk models ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ The Discounted Moments of the Surplus After the Last Innovation Before Ruin Under the Dual Risk Model ⋮ The ruin time under the Sparre Andersen dual model ⋮ On the Parisian ruin of the dual Lévy risk model ⋮ Parisian ruin with a threshold dividend strategy under the dual Lévy risk model

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• Erlangian Approximations for Finite-Horizon Ruin Probabilities
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models

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